Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 22 (3D) | Dec 23 (4D) | Dec 24 (5D) | Dec 25 (6D) | Dec 26 (7D) | Dec 29 (10D) | Dec 30 (11D) | Dec 31 (12D) | Jan 01 (13D) | Jan 02 (14D) | Jan 09 (21D) | Jan 16 (28D) | Jan 23 (35D) | Jan 30 (42D) | Feb 06 (49D) | Feb 13 (56D) | Feb 20 (63D) | Feb 27 (70D) | Mar 06 (77D) | Mar 13 (84D) | Mar 20 (91D) | Mar 27 (98D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 671.07 | 669.62 | 668.343 | 667.188 | 666.126 | 663.332 | 662.497 | 661.699 | 660.934 | 660.197 | 655.648 | 651.813 | 648.434 | 645.379 | 642.57 | 639.955 | 637.499 | 635.176 | 632.967 | 630.856 | 628.831 | 626.883 |
| upper | 689.81 | 691.26 | 692.537 | 693.692 | 694.754 | 697.548 | 698.383 | 699.181 | 699.946 | 700.683 | 705.232 | 709.067 | 712.446 | 715.501 | 718.31 | 720.925 | 723.381 | 725.704 | 727.913 | 730.024 | 732.049 | 733.997 |
| expected move | 9.37 | 10.82 | 12.097 | 13.252 | 14.314 | 17.108 | 17.943 | 18.741 | 19.506 | 20.243 | 24.792 | 28.627 | 32.006 | 35.061 | 37.87 | 40.485 | 42.941 | 45.264 | 47.473 | 49.584 | 51.609 | 53.557 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
